AN ANALYTICAL APPROXIMATION FORMULA FOR THE PRICING OF CREDIT DEFAULT SWAPS WITH REGIME SWITCHING (Q5158750)
From MaRDI portal
scientific article; zbMATH DE number 7413997
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN ANALYTICAL APPROXIMATION FORMULA FOR THE PRICING OF CREDIT DEFAULT SWAPS WITH REGIME SWITCHING |
scientific article; zbMATH DE number 7413997 |
Statements
AN ANALYTICAL APPROXIMATION FORMULA FOR THE PRICING OF CREDIT DEFAULT SWAPS WITH REGIME SWITCHING (English)
0 references
26 October 2021
0 references
analytical approximation
0 references
credit default swap
0 references
regime switching
0 references
Fourier cosine series
0 references
